Abstract
AbstractThe Cox Ingersoll Ross (CIR) process is consider recently one of the most important models in finance for the modeling the term structure of interest rate as constructed in 1985. In this paper, we mainly present the CIR process in the context of free probability theory which was introduced by D. Voicelescu in 1980.The important part in this paper is transformation from CIR process driven by Brownian motion to CIR process driven by free Brownian motion is called Free CIR process. Then, we estimate the free CIR process using Maximum Likelihood Estimation (MLE) method.it was concluded that the MLE method works well.
